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Near-Coincident Indicators of Systemic Stress

Arsov, Ivailo; Canetti, Elie; Kodres, Laura E.; Mitra, … - International Monetary Fund (IMF) - 2013

The G-20 Data Gaps Initiative has called for the IMF to develop standard measures of tail risk, which we identify in this paper with systemic risk. To understand the conditions under which tail risk is present, it is first necessary to develop a measure of what constitutes a systemic stress, or...

Persistent link: https://www.econbiz.de/10010790432

How Well Do Aggregate Bank Ratios Identify Banking Problems?

Cihák, Martin; Schaeck, Klaus - International Monetary Fund (IMF) - 2007

The paper provides an empirical analysis of aggregate banking system ratios during systemic banking crises. Drawing upon a wide cross-country dataset, we utilize parametric and nonparametric tests to assess the power of these ratios to discriminate between sound and unsound banking systems. We...

Persistent link: https://www.econbiz.de/10005768721

Banking Crises and Crisis Dating; Theory and Evidence

Loukoianova, Elena; Nicoló, Gianni De; Boyd, John H. - International Monetary Fund (IMF) - 2009

Many empirical studies of banking crises have employed "banking crisis" (BC) indicators constructedusing primarily information on government actions undertaken in response to bank distress. Weformulate a simple theoretical model of a banking industry which we use to identify and...

Persistent link: https://www.econbiz.de/10008528706

Is there a Role for Funding in Explaining Recent U.S. Banks' Failures?

Bologna, Pierluigi - International Monetary Fund (IMF) - 2011

This paper tests the role of different banks' liquidity funding structures in explaining the banks' failures, which … explaining banks' probability of default. By confirming the role of funding as the driver of banking crisis, the paper also … to strenghten banks' liquidity conditions and improve financial stability. Its correct implementation together with …

Persistent link: https://www.econbiz.de/10009203531

Systemic Contingent Claims Analysis; Estimating Market-Implied Systemic Risk

Jobst, Andreas A.; Gray, Dale F. - International Monetary Fund (IMF) - 2013

The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from...

Persistent link: https://www.econbiz.de/10011242440

Financial Crises Explanations, Types, and Implications

Claessens, Stijn; Kose, M. Ayhan - International Monetary Fund (IMF) - 2013

This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper...

Persistent link: https://www.econbiz.de/10011123845

Monitoring Systemic Risk Based on Dynamic Thresholds

Lund-Jensen, Kasper - International Monetary Fund (IMF) - 2012

Successful implementation of macroprudential policy is contingent on the ability to identify and estimate systemic risk in real time. In this paper, systemic risk is defined as the conditional probability of a systemic banking crisis and this conditional probability is modeled in a fixed effect...

Persistent link: https://www.econbiz.de/10011242269

Government Involvement in Corporate Debt Restructuring; Case Studies From the Great Recession

Grigorian, David A.; Raei, Faezeh - International Monetary Fund (IMF) - 2010

The paper examines recent episodes of government involvement in corporate debt restructurings. It argues that corporate debt restructuring is an important step toward recovery from a financial crisis. We then discuss the rationale for, and modalities of, the state intervention in corporate debt...

Persistent link: https://www.econbiz.de/10008727803

Inside the Crisis; An Empirical Analysis of Banking Systems in Distress

Gupta, Poonam; Demirgüç-Kunt, Asli; Detragiache, Enrica - International Monetary Fund (IMF) - 2000

begins in the second year after the crisis and is not led by a resumption in credit growth. Banks, including the stronger …

Persistent link: https://www.econbiz.de/10005768800

The Late 1990's Financial Crisis in Ecuador; Institutional Weaknesses, Fiscal Rigidities, and Financial Dollarization At Work

Jácome, Luis Ignacio - International Monetary Fund (IMF) - 2004

worsening the solvency of banks. These three factors reinforced each other, exacerbating costs as the economy went through a …

Persistent link: https://www.econbiz.de/10005769178